His, as the title says I would like to have both my mail server and website running in the same server, so if my website is on www.example.com, the mail admin page could be wwww.example.com/admin or www.example.com/themailserverpart/admin.
Is this possible?
This is not a supported feature out of the box. You might try setting up a redirect at /admin/ in your sites, or setting up an iFrame.
Please note that running other software on the box is not supported. Mailinabox does have a built in static web server that you can use.